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Generating function of a geometric variable at one third

Question

For a random variable XX taking non-negative integer values, the probability generating function is G(z)=E[zX]G(z)=\mathbb{E}[z^X] for ∣z∣≤1|z|\le 1. Derive GG when X∼Geom(p)X\sim\text{Geom}(p) (counting trials up to and including the first success, so X≥1X\ge 1), and evaluate it at z=13z=\tfrac13 with p=23p=\tfrac23.

Short answer

14\tfrac14. Factor out pzpz and sum a geometric series in (1−p)z(1-p)z: G(z)=pz∑j≥0((1−p)z)j=pz1−(1−p)zG(z)=pz\sum_{j\ge0}\big((1-p)z\big)^j=\dfrac{pz}{1-(1-p)z}. With p=23p=\tfrac23 and z=13z=\tfrac13 this is 2/98/9=14\dfrac{2/9}{8/9}=\tfrac14.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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